Patterns in Exchange Rate Forecasts for 25 Currencies
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NBER Working Paper No. 3807 (Also Reprint No. r1926)
Issued in December 1994
NBER Program(s): ITI IFM
We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures. Investors would be better off placing less weight on their forecasts or the forward rate, and more on the current spot rate.
Published: Journal of Money, Credit, and Banking. vol. 26, no. 4, Nov. 1994.pp. 754-770
This paper is available as PDF (143 K) or DjVu (115 K) (Download viewer) or via email.
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